We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect...

Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly from worsening fundamentals, or indirectly from...

The discussion in this note seeks to preserve the beneficial features of securitization while mitigating those that may pose risks to financial stability. A comprehensive set of reforms-targeting both supply- and demand-side inefficiencies-will be needed to put securitization back on a sound,...